Similar Search Results

Economic gains of realized volatility in the Brazilian stock market

Santos, Francisco; Garcia, Márcio Gomes Pinto; … - 2014

This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate … model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian … stocks. Comparing with traditional volatility methods, we find that economic gains associated with realized measures perform …

Persistent link: https://www.econbiz.de/10010402112

Long-term stock returns in Brazil : volatile equity returns for U.S.-like investors

Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, Antonion Z. - 2020 - This version: March 30th, 2020

Persistent link: https://www.econbiz.de/10012243420

Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors

Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, … - 2020

Persistent link: https://www.econbiz.de/10012404296

The spectre of terrorism and the stock market

Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022

returns and increased volatility on the UK stock market. …

Persistent link: https://www.econbiz.de/10013428887

Dynamic interdependence and volatility transmission from the American to the Brazilian stock market

Monte, Edson Zambon; Defanti, Lucas Barbosa - 2021

The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American … political, regardless of the international scenario ("critical events"), affected the volatility of the Brazilian stock market …

Persistent link: https://www.econbiz.de/10012661256

Persistence in ESG and conventional stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021

This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...

Persistent link: https://www.econbiz.de/10012520863

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...